LAB #4376 NEUTRAL: TG AUTO: New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research

@misc{caldin20264376,
  title = {{LAB #4376 NEUTRAL: TG AUTO: New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research}},
  author = {Andrew Stewart Caldin},
  howpublished = {Zenodo},
  year = {2026},
  month = oct,
  doi = {10.5281/zenodo.23465212},
  url = {https://zenodo.org/records/23465212},
  note = {CC BY 4.0},
}

TY  - UNPB
TI  - LAB #4376 NEUTRAL: TG AUTO: New edge proposed: gap_fade_to_vwap_with_timing — E8 Intelligence Research
AU  - Andrew Stewart Caldin
PY  - 2026
DA  - 2026/10/19
PB  - Zenodo
DO  - 10.5281/zenodo.23465212
UR  - https://zenodo.org/records/23465212
AB  - IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#1264406, division=research, agent=gtx_scout):  { "name": "gap_fade_to_vwap_with_timing", "source": "Larry Williams' gap fade strategies", "type": "entry_engine", "rule": "Enter short at market open if price gaps above prior day high by more than 1 ATR(14), fade back below open price within first 30 minutes, and price is above 20-day VWAP; target 0.5 ATR below entry with stop at prior day high.", "pseudocode": "gapPct = (open[0] - high[1]) / ATR(14); if gapPct > 1.0 and sessionMinutes < 30 and low[0] < open[0]: entry = open[0]; stop = high[1]; target = entry - 0.5*ATR(14); exitLong? no", "why_it_works": "Exploits overreaction to overnight news when longer-term trend axis (VWAP) aligns with a snap-back due to limited liquidity in t  SAME-WINDOW EFFECT: Over the current live window, this rule would have had zero direct impact — none of the listed trades are gap-fade setups at market open; all entries occurred mid-session (  Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
ER  -